Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
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Publication:1655591
DOI10.1016/j.jedc.2017.04.004zbMath1401.91063arXiv1908.05089OpenAlexW2608916530WikidataQ58941459 ScholiaQ58941459MaRDI QIDQ1655591
Publication date: 9 August 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1908.05089
Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24)
Related Items (5)
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Uses Software
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